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Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/289260
Description: A problem of minimization of L₁-penalized conditional value-at-risk (CVaR) is considered. It is shown that there exists a non-negative threshold value of the penalty parameter such that the optimal va ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/163441
Description: In this paper, we study utility-based indifference pricing and hedging of a contingent claim in a continuous-time, Markov, regime-switching model. The market in this model is incomplete, so there is m ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/288319
Description: It has been established recently that, under mild conditions, deterministic long run average problems of optimal control are "asymptotically equivalent" to infinite-dimensional linear programming prob ... More
Full Text: Full Text
Reviewed: Reviewed
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